org.drip.function.rdtor1descent

Class WolfeEvolutionVerifier

java.lang.Object

org.drip.function.rdtor1descent.LineEvolutionVerifier

org.drip.function.rdtor1descent.WolfeEvolutionVerifier

public class WolfeEvolutionVerifier
extends LineEvolutionVerifier

WolfeEvolutionVerifier implements the Wolfe Criterion used for the Inexact Line Search Increment Generation. The References are: - Armijo, L. (1966): Minimization of Functions having Lipschitz-Continuous First Partial Derivatives, Pacific Journal of Mathematics 16 (1) 1-3. - Wolfe, P. (1969): Convergence Conditions for Ascent Methods, SIAM Review 11 (2) 226-235. - Wolfe, P. (1971): Convergence Conditions for Ascent Methods; II: Some Corrections, SIAM Review 13 (2) 185-188. - Nocedal, J., and S. Wright (1999): Numerical Optimization, Wiley.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
WolfeEvolutionVerifier(double dblArmijoParameter, boolean bMaximizerCheck, double dblCurvatureParameter, boolean bStrongCurvatureCriterion) WolfeEvolutionVerifier Constructor

Method Summary

Modifier and Type	Method and Description
double	armijoParameter() Retrieve the Armijo Parameter
double	curvatureParameter() Retrieve the Curvature Parameter
boolean	maximizerCheck() Indicate if the Check is for Minimizer/Maximizer
LineEvolutionVerifierMetrics	metrics(UnitVector uvTargetDirection, double[] adblCurrentVariate, RdToR1 funcRdToR1, double dblStepLength) Generate the Verifier Metrics for the Specified Inputs
static WolfeEvolutionVerifier	NocedalWrightStandard(boolean bMaximizerCheck, boolean bStrongCurvatureCriterion) Construct the Nocedal-Wright Wolfe Evolution Verifier
boolean	strongCriterion() Retrieve Whether of not the "Strong" Curvature Criterion needs to be met

Methods inherited from class org.drip.function.rdtor1descent.LineEvolutionVerifier

verify

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

WolfeEvolutionVerifier

public WolfeEvolutionVerifier(double dblArmijoParameter,
                              boolean bMaximizerCheck,
                              double dblCurvatureParameter,
                              boolean bStrongCurvatureCriterion)
                       throws java.lang.Exception

WolfeEvolutionVerifier Constructor

Parameters:

dblArmijoParameter - The Armijo Criterion Parameter

bMaximizerCheck - TRUE - Perform a Check for the Function Maxima

dblCurvatureParameter - The Curvature Parameter

bStrongCurvatureCriterion - TRUE - Apply the Strong Curvature Criterion

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

NocedalWrightStandard

public static final WolfeEvolutionVerifier NocedalWrightStandard(boolean bMaximizerCheck,
                                                                 boolean bStrongCurvatureCriterion)

Construct the Nocedal-Wright Wolfe Evolution Verifier

Parameters:

bMaximizerCheck - TRUE - Perform a Check for the Function Maxima

bStrongCurvatureCriterion - TRUE - Apply the Strong Curvature Criterion

Returns:

The Nocedal-Wright Wolfe Evolution Verifier Instance

armijoParameter

public double armijoParameter()

Retrieve the Armijo Parameter

Returns:

The Armijo Parameter

maximizerCheck

public boolean maximizerCheck()

Indicate if the Check is for Minimizer/Maximizer

Returns:

TRUE - The Check is for Maximizer

curvatureParameter

public double curvatureParameter()

Retrieve the Curvature Parameter

Returns:

The Curvature Parameter

strongCriterion

public boolean strongCriterion()

Retrieve Whether of not the "Strong" Curvature Criterion needs to be met

Returns:

TRUE - The "Strong" Curvature Criterion needs to be met

metrics

public LineEvolutionVerifierMetrics metrics(UnitVector uvTargetDirection,
                                            double[] adblCurrentVariate,
                                            RdToR1 funcRdToR1,
                                            double dblStepLength)

Description copied from class: LineEvolutionVerifier

Generate the Verifier Metrics for the Specified Inputs

Specified by:

metrics in class LineEvolutionVerifier

Parameters:

uvTargetDirection - The Target Direction Unit Vector

adblCurrentVariate - The Current Variate

funcRdToR1 - The R^d To R^1 Function

dblStepLength - The Incremental Step Length

Returns:

The Verifier Metrics